A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581)
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scientific article; zbMATH DE number 6928481
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| English | A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data |
scientific article; zbMATH DE number 6928481 |
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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (English)
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29 August 2018
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high frequency data
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microstructure noise
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non-synchronous trading
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integrated covariance matrix
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minimum variance portfolio
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nonlinear shrinkage
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0.8793248
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0.8493683
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0.84296423
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0.84135854
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0.83942544
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0.8383564
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0.83290607
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